Add a useful package (from Source forge) for octave

[CreaPhase.git] / octave_packages / econometrics-1.0.8 / delta_method.m

diff --git a/octave_packages/econometrics-1.0.8/delta_method.m b/octave_packages/econometrics-1.0.8/delta_method.m
new file mode 100644 (file)
index 0000000..e88ff0f
--- /dev/null
+++ b/octave_packages/econometrics-1.0.8/delta_method.m
@@ -0,0 +1,23 @@
+# Copyright (C) 2003,2004  Michael Creel <michael.creel@uab.es>
+#
+# This program is free software; you can redistribute it and/or modify
+# it under the terms of the GNU General Public License as published by
+# the Free Software Foundation; either version 2 of the License, or
+# (at your option) any later version.
+#
+# This program is distributed in the hope that it will be useful,
+# but WITHOUT ANY WARRANTY; without even the implied warranty of
+# MERCHANTABILITY or FITNESS FOR A PARTICULAR PURPOSE.  See the
+# GNU General Public License for more details.
+#
+# You should have received a copy of the GNU General Public License
+# along with this program; If not, see <http://www.gnu.org/licenses/>.
+
+# Computes Delta method mean and covariance of a nonlinear
+# transformation defined by "func"
+function [theta_transf, var_transf] = delta_method(func, theta, otherargs, vartheta)
+       theta_transf = feval(func, theta, otherargs);
+       D = numgradient(func, {theta, otherargs});
+       var_transf = D * vartheta * D';
+
+endfunction